随机存续期，凸性效应，利率变化的影响

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2014-11-02 DOI:10.1080/1351847X.2013.791631

José Soares da Fonseca

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引用次数: 1

摘要

本文表明债券定价均衡模型并不排除由凸性引起的套利机会。因此，从这些模型中得出的随机持续时间作为利率风险度量的能力是有限的。本文的研究利用跨期效用最大化框架来确定在何种条件下久期是一个适当的利率风险度量。此外，由于凸性效应，我们证明零息债券满足这些均衡条件，而息票债券或债券组合则不满足这些均衡条件。研究结果得到了实证的支持，证实了凸性对息票债券收益率偏离均衡的影响。

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Stochastic durations, the convexity effect, and the impact of interest rate changes

This article shows that the equilibrium models of bond pricing do not preclude arbitrage opportunities caused by convexity. Consequently, stochastic durations derived from these models are limited in their ability to act as interest rate risk measures. The research of the present article makes use of an intertemporal utility maximization framework to determine the conditions under which duration is an adequate interest rate risk measure. Additionally, we show that zero coupon bonds satisfy those equilibrium conditions, whereas coupon bonds or bond portfolios do not as a result of the convexity effect. The results are supported by empirical evidence, which confirms the influence of convexity on the deviation of coupon bond returns from equilibrium.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.